英文标题：
《Actuarial fairness and solidarity in pooled annuity funds》
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作者：
Catherine Donnelly
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最新提交年份：
2014
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英文摘要：
Various types of structures that enable a group of individuals to pool their mortality risk have been proposed in the literature. Collectively, the structures are called pooled annuity funds. Since the pooled annuity funds propose different methods of pooling mortality risk, we investigate the connections between them and find that they are genuinely different for a finite heterogeneous membership profile. We discuss the importance of actuarial fairness, defined as the expected benefits equalling the contributions for each member, in the context of pooling mortality risk and comment on whether actuarial unfairness can be seen as solidarity between members. We show that, with a finite number of members in the fund, the group self-annuitization scheme is not actuarially fair: some members subsidize the other members. The implication is that the members who are subsidizing the others may obtain a higher expected benefit by joining a fund with a more favourable membership profile. However, we find that the subsidies are financially significant only for very small or highly heterogeneous membership profiles.
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中文摘要：
文献中提出了各种类型的结构，使一组个体能够汇集他们的死亡风险。这些结构统称为集合年金基金。由于集合年金基金提出了不同的集合死亡风险的方法，我们研究了它们之间的联系，发现对于有限的异质成员组合，它们确实是不同的。我们讨论了精算公平的重要性，精算公平的定义是，在汇集死亡风险的背景下，预期收益等于每个成员的贡献，并评论精算公平是否可以被视为成员之间的团结。我们表明，由于基金中的成员数量有限，团体自年金计划在精算上是不公平的：一些成员补贴其他成员。这意味着，补贴其他成员的成员可能会通过加入一个具有更有利成员身份的基金而获得更高的预期收益。然而，我们发现，这些补贴仅对非常小或高度异质的会员个人资料具有财务意义。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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